Modern Future, who will face either Al Ahly or Ceramica Cleopatra in the final match, squandered three spot kicks.
Pyramids lost the match after missing a fourth penalty kick at Abu Dhabi’s Mohammed bin Zayed Stadium.
Pyramids defender Osama Galal wasted two penalty kicks, including the decisive one that sealed victory for Modern Future.
Even though at times it felt that the shootout was never ending, it was well short of the 54 penalty kicks taken when Washington FC beat Bedlington Terriers 25-24 last year.
That was in a local cup match in England.
A 2005 Namibian Cup match between KK Palace and Civics featured 48 penalty kicks.